TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES

doi:10.1111/iere.12250

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	TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
	Hong, Yongmiao ; Wang, Xia ; Wang, Shouyang
	2017-11-01
发表期刊	INTERNATIONAL ECONOMIC REVIEW
ISSN	0020-6598
卷号	58 期号:4 页码:1227-1277
摘要	We propose a model-free test for strict stationarity. The idea is to estimate a nonparametric time-varying characteristic function and compare it with the empirical characteristic function based on the whole sample. We also propose several derivative tests to check time-invariant moments, weak stationarity, and pth order stationarity. Monte Carlo studies demonstrate excellent power of our tests. We apply our tests to various macroeconomic time series and find overwhelming evidence against strict and weak stationarity for both level and first-differenced series. This suggests that the conventional time series econometric modeling strategies may have room to be improved by accommodating these time-varying features.
DOI	10.1111/iere.12250
语种	英语
资助项目	National Science Foundation of China[71401160] ; Ministry of Education of Humanities and Social Sciences China[14YJC790120] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[2016003]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000416331700006
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29195
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Xia
作者单位	1.Cornell Univ, Ithaca, NY 14853 USA 2.Xiamen Univ, Xiamen, Peoples R China 3.Sun Yat Sen Univ, Guangzhou, Guangdong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 5.Univ Chinese Acad Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Hong, Yongmiao,Wang, Xia,Wang, Shouyang. TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES[J]. INTERNATIONAL ECONOMIC REVIEW,2017,58(4):1227-1277.
APA	Hong, Yongmiao,Wang, Xia,&Wang, Shouyang.(2017).TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES.INTERNATIONAL ECONOMIC REVIEW,58(4),1227-1277.
MLA	Hong, Yongmiao,et al."TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES".INTERNATIONAL ECONOMIC REVIEW 58.4(2017):1227-1277.